Suresh M. Sundaresan

Columbia Business School - Finance and Economics

Professor

3022 Broadway

New York, NY 10027

United States

http://www0.gsb.columbia.edu/faculty/ssundaresan/

SCHOLARLY PAPERS

31

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Top 5,079

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8,868

SSRN CITATIONS
Rank 5,050

SSRN RANKINGS

Top 5,050

in Total Papers Citations

70

CROSSREF CITATIONS

169

Scholarly Papers (31)

1.

A Simple Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk

EFA 2003 Annual Conference Paper No. 852
Number of pages: 22 Posted: 23 Jul 2003
Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan
Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 971 (25,082)
Citation 7

Abstract:

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risk-neutral, PDs, reduced-form models

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Nordea Group, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Federal Reserve Board - Division of Monetary Affairs, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 964 (25,326)
Citation 1

Abstract:

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3.

Pricing Collateralized Swaps

Number of pages: 49 Posted: 11 Jun 2003
Michael S. Johannes and Suresh M. Sundaresan
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 861 (29,789)
Citation 6

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Collateral, Interest Rate Swaps, Default

4.

Dynamic Investment, Capital Structure, and Debt Overhang

Number of pages: 51 Posted: 21 Dec 2006
Suresh M. Sundaresan and Neng Wang
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 745 (36,360)
Citation 50

Abstract:

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Endogenous default, leverage, real options, debt overhang, debt seniority

5.

A Simple Unified Model for Pricing Derivative Securities With Equity, Interest-Rate, and Default Risk

AFA 2004 San Diego Meetings
Number of pages: 28 Posted: 04 Dec 2003
Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan
Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 732 (37,234)
Citation 6

Abstract:

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Risk-neutral, PDs, reduced-form models

6.
Downloads 709 ( 38,903)
Citation 5

Liability Driven Investment with Downside Risk

Number of pages: 28 Posted: 25 May 2012 Last Revised: 16 Oct 2012
Andrew Ang, Bingxu Chen and Suresh M. Sundaresan
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 399 (79,692)
Citation 4

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Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall

Liability Driven Investment with Downside Risk

Netspar Discussion Paper No. 10/2012-051
Number of pages: 29 Posted: 17 Jan 2013
Andrew Ang, Bingxu Chen and Suresh M. Sundaresan
BlackRock, Inc, Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Downloads 310 (106,312)
Citation 3

Abstract:

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7.

Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage

Number of pages: 41 Posted: 28 Jul 2009
Qiang Dai and Suresh M. Sundaresan
affiliation not provided to SSRN and Columbia Business School - Finance and Economics
Downloads 614 (47,109)
Citation 11

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An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 28 Jul 2016 Last Revised: 21 Feb 2018
Sven Klingler and Suresh M. Sundaresan
BI Norwegian Business School and Columbia Business School - Finance and Economics
Downloads 536 (55,434)
Citation 9

Abstract:

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Pension funds, liability-driven investment, swap spreads, pension protection act, swap rates, limits of arbitrage

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

BIS Working Paper No. 705
Number of pages: 64 Posted: 19 Feb 2018
Sven Klingler and Suresh M. Sundaresan
BI Norwegian Business School and Columbia Business School - Finance and Economics
Downloads 63 (383,893)
Citation 7

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duration, swap spreads, balance sheet constraints, funding status of pension plans, defined benefits, repo, LIBOR

9.

Repo Rollover Risk and the Bankruptcy Code

Columbia Business School Research Paper No. 13-8
Number of pages: 61 Posted: 14 Feb 2013 Last Revised: 17 Jun 2015
Jun Kyung Auh and Suresh M. Sundaresan
Georgetown University - Department of Finance and Columbia Business School - Finance and Economics
Downloads 407 (78,593)
Citation 7

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Run Risk, Safe Harbor Debt, Optimal Liability Structure, Capital Structure, Bankruptcy Code

10.

Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default

Number of pages: 39 Posted: 12 Jul 2000
Ganlin Chang and Suresh M. Sundaresan
Columbia Business School and Columbia Business School - Finance and Economics
Downloads 375 (86,394)
Citation 16

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11.

On the Design of Contingent Capital with a Market Trigger

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 08 Mar 2012 Last Revised: 14 May 2014
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 324 (101,952)
Citation 35

Abstract:

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Contingent capital, capital requirements

12.

Dollar Shortage, Central Bank Actions, and the Cross Currency Basis

Number of pages: 47 Posted: 28 Oct 2012 Last Revised: 30 Oct 2012
Jean-Marc Bottazzi, Jaime Luque, Mario Pascoa and Suresh M. Sundaresan
Paris School of Economics (PSE), Wisconsin School of Business, affiliation not provided to SSRN and Columbia Business School - Finance and Economics
Downloads 312 (106,150)
Citation 11

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Euro-Dollar currency basis, the 2008 dollar squeeze, possession, canonical buy-sell arbitrage, central banks coordinated intervention, money markets, liquidity

13.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005
Mark Broadie, Mikhail Chernov and Suresh M. Sundaresan
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 275 (121,572)
Citation 10

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Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer

14.

Unintended Consequences of Post-Crisis Liquidity Regulation

Number of pages: 57 Posted: 18 Jun 2019 Last Revised: 12 Aug 2020
Suresh M. Sundaresan and Kairong Xiao
Columbia Business School - Finance and Economics and Columbia University - Columbia Business School
Downloads 232 (144,500)
Citation 4

Abstract:

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liquidity regulation, regulatory arbitrage

15.

Growth Options and Optimal Default Under Liquidity Constraints: The Role of Corporate Cash Balances

Columbia Business School Research Paper
Number of pages: 42 Posted: 24 Aug 2011
Attakrit Asvanunt, Mark Broadie and Suresh M. Sundaresan
AQR Capital Management, LLC, Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School - Finance and Economics
Downloads 149 (214,791)
Citation 7

Abstract:

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16.

Risk Management of Hedge Funds: Role of Funding and Redemption Options on Leverage

Number of pages: 38 Posted: 17 Mar 2010
Suresh M. Sundaresan
Columbia Business School - Finance and Economics
Downloads 146 (218,368)
Citation 4

Abstract:

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Unencumbered cash, prime brokers, redemption and funding options

17.

Y2k Options and the Liquidity Premium in Treasury Bond Markets

FRB of New York Staff Report No. 266
Number of pages: 40 Posted: 01 Nov 2006
Zhenyu Wang and Suresh M. Sundaresan
Indiana University, Kelley School of Business and Columbia Business School - Finance and Economics
Downloads 106 (277,747)
Citation 1

Abstract:

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Y2K Options, liquidity, treasury bonds

18.

Public Provision of Private Liquidity: Evidence from the Millennium Date Change

AFA 2006 Boston Meetings Paper
Number of pages: 50 Posted: 21 Nov 2005
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 101 (287,085)
Citation 4

Abstract:

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Y2K, CDC, liquidity, on-the-run, off-the-run, options

The Effects of Tax on Bank Liability Structure

BIS Working Paper No. 611
Number of pages: 51 Posted: 28 Feb 2017
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 86 (320,864)

Abstract:

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bank liability structure, corporate tax, leverage

The Effects of Tax on Bank Liability Structure

CEPR Discussion Paper No. DP11893
Number of pages: 50 Posted: 16 Mar 2017
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
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bank liability structure, corporate tax, leverage

20.

FX Hedging and Creditor Rights

BIS Paper No. 96b
Number of pages: 18 Posted: 06 Apr 2018
Madhusudan S. Mohanty and Suresh M. Sundaresan
Bank for International Settlements (BIS) - Monetary and Economic Department and Columbia Business School - Finance and Economics
Downloads 57 (397,965)

Abstract:

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foreign currency exposure; corporate hedging; creditor rights

21.

Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand in Auctions

Number of pages: 54 Posted: 13 Apr 2020
Sven Klingler and Suresh M. Sundaresan
BI Norwegian Business School and Columbia Business School - Finance and Economics
Downloads 52 (415,167)

Abstract:

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Convenience premium, Treasury auctions, tender-cover ratios, primary dealers, risk-free rates, OIS, VIX

22.

Underwriting Government Debt Auctions: Auction Choice and Information Production

Columbia Business School Research Paper No. 16-75, Gabelli School of Business, Fordham University Research Paper No. 2859846
Number of pages: 57 Posted: 28 Oct 2016 Last Revised: 22 Dec 2019
Sudip Gupta, Rangarajan K. Sundaram and Suresh M. Sundaresan
Fordham University - Finance Area, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 51 (418,680)

Abstract:

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23.

A Review of Merton's Model of the Firm's Capital Structure with its Wide Applications

Annual Review of Financial Economics, Vol. 5, pp. 21-41, 2013
Posted: 08 Nov 2013
Suresh M. Sundaresan
Columbia Business School - Finance and Economics

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24.

Y2k Options and the Liquidity Premium in Treasury Markets

The Review of Financial Studies, Vol. 22, Issue 3, pp. 1021-1056, 2009
Posted: 17 Mar 2009
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business

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G1, G12, G18

25.

Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions

Posted: 27 Aug 2001
Kjell G. Nyborg, Kristian Rydqvist and Suresh M. Sundaresan
University of Zurich - Department of Banking and Finance, State University of New York at Binghamton - School of Management and Columbia Business School - Finance and Economics

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26.

A Model of Sovereign Borrowing and Sovereign Yield Spreads

Posted: 19 May 2000
Rajna Gibson and Suresh M. Sundaresan
European Corporate Governance Institute (ECGI) and Columbia Business School - Finance and Economics

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27.

Debt Valuation, Renegotiations and Optimal Dividend Policy

Paine Webber Working Paper No. 99-05
Posted: 06 Oct 1999
Hua Fan and Suresh M. Sundaresan
Goldman Sachs Group, Inc. and Columbia Business School - Finance and Economics

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28.

Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach

Review of Financial Studies, Vol. 12, Issue 3
Posted: 11 Jul 1999
Jerome Detemple and Suresh M. Sundaresan
Boston University Questrom School of Business and Columbia Business School - Finance and Economics

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29.

Discriminatory Versus Uniform Treasury Auctions

London Business School Institute of Finance and Accounting Working Paper 198
Posted: 29 Aug 1998
Kjell G. Nyborg and Suresh M. Sundaresan
University of Zurich - Department of Banking and Finance and Columbia Business School - Finance and Economics

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30.

Design and Valuation of Debt Contracts

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 1
Posted: 22 Aug 1998
Ronald W. Anderson and Suresh M. Sundaresan
London School of Economics & Political Science - Department of Finance and Columbia Business School - Finance and Economics

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31.

Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans

Review of Financial Studies, Vol. 10, No. 3
Posted: 30 Jul 1997
Suresh M. Sundaresan and Fernando Zapatero
Columbia Business School - Finance and Economics and Questrom School of Business, Boston University

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